An Empirical Investigation of the Potential Asymmetric Relationship between the Stock Market and the Exchange Rates in the UAE - Un esame empirico della potenziale relazione asimmetrica tra mercato azionario e tasso di cambio negli Emirati Arabi

Abdulrahman Al Shayeb and Abdulnasser Hatemi-J
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Abdulrahman Al Shayeb: Department of Economics and Finance Faculty of Business and Economics United Arab Emirates University, Postal: P.O.Box 17555, Al-Ain, United Arab Emirates, http://www.fbe.uaeu.ac.ae/econ/

Economia Internazionale / International Economics, 2013, vol. 66, issue 4, 425-438

Abstract: In the increasingly globalized financial markets the impact of exchange rates fluctuations are progressively the center of focus for investors and policy makers. The main objective of this paper is to empirically investigate the causal link between the stock market and the exchange rates in the UAE. This is achieved by implementing new tests for causality that allow for asymmetry in the potential dynamic relationships between the underlying variables. The empirical findings indicate that the exchange rate fluctuations do not cause the stock price fluctuations regardless if the underlying fluctuation is positive or negative. This empirical finding might support the view that the stock market in the UAE is informationally efficient with regard to any type of exchange rates fluctuations. - L’impatto delle fluttuazioni dei tassi di cambio sui mercati finanziari globali è sempre più al centro dell’interesse degli investitori e dei policy makers. Questo studio si propone di effettuare un’analisi empirica sulla relazione causale tra mercato azionario e tasso di cambio negli Emirati Arabi. A tal fine si applicano nuovi test di causalità che consentono l’asimmetria nelle relazioni tra le variabili considerate. Le evidenze trovate indicano che le fluttuazioni dei tassi di cambio non causano fluttuazioni nel mercato azionario, sia in caso di fluttuazioni positive che negative. Tale risultato supporterebbe l’ipotesi che il mercato azionario degli Emirati Arabi è informationally efficient con riferimento ad ogni tipo di fluttuazione dei tassi.

Keywords: Stock Market; Exchange Rates; Asymmetric Causality; the UAE (search for similar items in EconPapers)
JEL-codes: C32 E17 (search for similar items in EconPapers)
Date: 2013
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